Board of Governors of the Federal Reserve System

Figure 1. Large Bank Lending to U.S. Open-end Mutual Funds and ETFs, 2013:Q1-2020:Q3

This is titled “Figure 1: Large Bank Lending to U.S. Open-end Mutual Funds and ETFs, 2013:Q1-2020:Q3” and comprises of two sub-figures, Figure 1(a) and Figure 1(b). Figure 1(a) is titled “(a) All Open-end Mutual Funds and ETFs” and shows two series. The first series is the total dollar amount of bank loans committed to all open-end mutual funds and ETFs, and is shown as a bar chart read against the left y-axis in $billion and over the x-axis depicted in years from 2013 to 2020. The series range from around $28 billion to $40 billion over the sample period, starting from $28 billion at the start of 2013, rising to near $40 billion in 2016 after which it came down to hover in the range of $30-35 billion. The second series shows the same bank loans now as a share of fund total net assets, as a line graph read against the right y-axis in percent and over the x-axis depicted in years from 2013 to 2020. The series range from near 0.15% to 0.27%, starting from around 0.23% in 2013, rising to near 0.27% in late 2015 after which it falls and continues to range below 0.17%. and Figure 1(b) only bank loan mutual funds and ETFs. Sources for Figure 1(a) are CRSP, FR Y-14, and staff calculation. Figure 1(b) is titled “(a) Bank Loan Mutual Funds and ETFs” and shows two series. The first series is the total dollar amount of bank loans committed to all bank loan mutual funds and ETFs, and is shown as a bar chart read against the left y-axis in $billion and over the x-axis depicted in years from 2013 to 2020. The series range from around $1.3 billion to around $3.2 billion over the sample period, starting from $1.5 billion at the start of 2013, rising to near $3.2 billion in 2015 after which it came down to hover in the range of $1.5-1.7 billion. The second series shows the same bank loans now as a share of fund total net assets, as a line graph read against the right y-axis in percent and over the x-axis depicted in years from 2013 to 2020. The series range from near 1.3% to 3.5%, starting from around 1.6% in 2013, rising to near 3.5% in late 2015 after which it falls to below 1.5% before it bounced back to more than 2.5% in recent 2020. Sources for Figure 1(b) are Center for Research in Security Prices, FR Y-14 H1, and staff calculation.

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Figure 2. Investors Flows and Credit Line Drawdowns, 2013:Q1-2020:Q3

Figure 2: This is titled “Figure 2: Investors Flows and Credit Line Drawdowns, 2013:Q1-2020:Q3” and comprises of two sub-figures, Figure 2(a) and Figure 2(b). Figure 2(a) is titled “(a) All Open-end Mutual Funds and ETFs” and shows two series. The first series is the percent of used credit lines as a share of total committed, for all open-end mutual funds and ETFs, and is shown as a solid line chart read against the left y-axis in percent and over the x-axis depicted in year-quarters from 2013 Q1 to 2020 Q3. The series range from around 12 to 24 percent over the sample period, starting from around 24 percent at the start of 2013, falling to near 12 percent in late 2015 after which it climbs back again to around 20 percent in the past few years. The second series shows the total net flows as a share of lagged total net assets for the same sample, as a dotted line graph read against the right y-axis in percent and over the x-axis depicted in year-quarters from 2013 Q1 to 2020 Q3. The series range from near -1.5% to 1%, zigzagging for most of the sample period although it shows a slight downward trend over time. Sources for Figure 2(a) are CRSP, Morningstar, FR Y-14, and staff calculation. Figure 2(b) is titled “(b) Bank Loan Mutual Funds and ETFs” and shows two series. The first series is the percent of used credit lines as a share of total committed, for all bank loan mutual funds and ETFs, and is shown as a solid line chart read against the left y-axis in percent and over the x-axis depicted in year-quarters from 2013 Q1 to 2020 Q3. The series range from around 12 to 44 percent over the sample period, starting from above 40 percent at the start of 2013 and gradually falling to near 12 percent by the end of the sample period, which is 2020 Q3. The second series shows the total net flows as a share of lagged total net assets for the same sample of bank loan mutual funds and ETFs, as a dotted line graph read against the right y-axis in percent and over the x-axis depicted in year-quarters from 2013 Q1 to 2020 Q3. The series range from near -14% to 20%, widely fluctuating for most of the sample period and showing largest magnitudes of outflows around 2015 and in 2019-2020. Sources for Figure 2(a) are Center for Research in Security Prices, Morningstar, Inc., FR Y-14 H1, and staff calculation.

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